日本語 JA
GitHub で見る

Zig Zag Aroon Strategy

Strategy combines simple ZigZag pivot detection with the Aroon indicator. It buys when Aroon Up crosses above Aroon Down and the latest pivot is a high. Short positions are opened when Aroon Down crosses above Aroon Up and the last pivot is a low.

Details

  • Entry Criteria: Aroon crossover with matching ZigZag pivot.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal.
  • Stops: No.
  • Default Values:
    • ZigZagDepth = 5
    • AroonLength = 14
    • CandleType = TimeSpan.FromMinutes(1)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: Aroon, ZigZag
    • Stops: No
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ZigZag + Aroon strategy.
/// Uses manual ZigZag pivot detection and Aroon crossover for entry signals.
/// </summary>
public class ZigZagAroonStrategy : Strategy
{
	private readonly StrategyParam<int> _zigZagDepth;
	private readonly StrategyParam<int> _aroonLength;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _highs = new();
	private readonly List<decimal> _lows = new();

	private decimal _lastZigzagHigh;
	private decimal _lastZigzagLow;
	private int _direction;
	private decimal _prevAroonUp;
	private decimal _prevAroonDown;

	public int ZigZagDepth { get => _zigZagDepth.Value; set => _zigZagDepth.Value = value; }
	public int AroonLength { get => _aroonLength.Value; set => _aroonLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ZigZagAroonStrategy()
	{
		_zigZagDepth = Param(nameof(ZigZagDepth), 5)
			.SetGreaterThanZero()
			.SetDisplay("ZigZag Depth", "Pivot search depth", "ZigZag");

		_aroonLength = Param(nameof(AroonLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("Aroon Period", "Aroon indicator period", "Aroon");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_highs.Clear();
		_lows.Clear();
		_lastZigzagHigh = 0;
		_lastZigzagLow = 0;
		_direction = 0;
		_prevAroonUp = 0;
		_prevAroonDown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var sma = new SimpleMovingAverage { Length = 10 };

		_highs.Clear();
		_lows.Clear();
		_lastZigzagHigh = 0;
		_lastZigzagLow = 0;
		_direction = 0;
		_prevAroonUp = 0;
		_prevAroonDown = 0;

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(sma, ProcessCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal _dummy)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_highs.Add(candle.HighPrice);
		_lows.Add(candle.LowPrice);

		var maxLen = Math.Max(ZigZagDepth, AroonLength) + 2;
		if (_highs.Count > maxLen * 2)
		{
			_highs.RemoveAt(0);
			_lows.RemoveAt(0);
		}

		if (_highs.Count < ZigZagDepth)
			return;

		// Manual highest/lowest over ZigZagDepth
		var recentHighs = _highs.Skip(_highs.Count - ZigZagDepth);
		var recentLows = _lows.Skip(_lows.Count - ZigZagDepth);
		var highest = recentHighs.Max();
		var lowest = recentLows.Min();

		// ZigZag direction
		if (candle.HighPrice >= highest && _direction != 1)
		{
			_lastZigzagHigh = candle.HighPrice;
			_direction = 1;
		}
		else if (candle.LowPrice <= lowest && _direction != -1)
		{
			_lastZigzagLow = candle.LowPrice;
			_direction = -1;
		}

		if (_highs.Count < AroonLength + 1)
			return;

		// Manual Aroon calculation
		var count = AroonLength + 1;
		if (_highs.Count < count || _lows.Count < count)
			return;

		var aroonHighs = _highs.GetRange(_highs.Count - count, count);
		var aroonLows = _lows.GetRange(_lows.Count - count, count);

		var highestIdx = 0;
		var lowestIdx = 0;
		for (int i = 1; i < count; i++)
		{
			if (aroonHighs[i] >= aroonHighs[highestIdx]) highestIdx = i;
			if (aroonLows[i] <= aroonLows[lowestIdx]) lowestIdx = i;
		}

		var aroonUp = 100m * highestIdx / AroonLength;
		var aroonDown = 100m * lowestIdx / AroonLength;

		// Aroon crossover
		var crossUp = _prevAroonUp <= _prevAroonDown && aroonUp > aroonDown;
		var crossDown = _prevAroonDown <= _prevAroonUp && aroonDown > aroonUp;

		if (crossUp && _direction == 1 && Position <= 0)
			BuyMarket();
		else if (crossDown && _direction == -1 && Position >= 0)
			SellMarket();

		_prevAroonUp = aroonUp;
		_prevAroonDown = aroonDown;
	}
}